UQ-LOB: Uncertainty-Aware Limit Order Book Mid-Price Forecasting
Forecasting short-horizon mid-price movements from limit order book (LOB) data is central to algorithmic trading, yet most deep LOB forecasters are point predictors: they output a direction or a displacement, but never indicate which of their forecasts can be trusted. We introduce UQ-LOB, a lightweight, encoder-agnosti...
D. Manoharan, Eljas Linna, K. Baltakys et al.
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